Model | Information criteria | Normal innovation | Student t innovation |
---|---|---|---|
sGARCH (1,1) | Akaike | − 4.9438 | NA |
Bayes | −4.9391 | ||
Shibata | −4.9438 | ||
Hannan-Quinn | −4.9421 | ||
gjrGARCH(1,1) | Akaike | −4.9434 | NA |
Bayes | −4.9371 | ||
Shibata | −4.9434 | ||
Hannan-Quinn | −4.9411 | ||
eGARCH(1,1) | Akaike | −4.9401 | −5.8066 |
Bayes | −4.9338 | −5.7988 | |
Shibata | −4.9401 | −5.8066 | |
Hannan-Quinn | −4.9379 | −5.8039 | |
iGARCH(1,1) | Akaike | −4.9363 | −6.3708 |
Bayes | −4.9331 | − 6.3661 | |
Shibata | −4.9363 | −6.3708 | |
Hannan-Quinn | −4.9352 | −6.3691 | |
apARCH(1,1) | Akaike | −4.9429 | −12.693 |
Bayes | −4.9350 | − 12.684 | |
Shibata | −4.9429 | −12.693 | |
Hannan-Quinn | −4.9401 | −12.690 | |
TGARCH(1,1) | Akaike | −2.8546 | −7.5955 |
Bayes | −2.8483 | −7.5876 | |
Shibata | −2.8546 | −7.5955 | |
Hannan-Quinn | −2.8523 | −7.5927 | |
NGARCH (1,1) | Akaike | −4.9433 | −21.080 |
Bayes | −4.9370 | −21.072 | |
Shibata | −4.9433 | −21.080 | |
Hannan-Quinn | −4.9411 | −21.077 | |
NAGARCH (1,1) | Akaike | −4.9433 | −6.3209 |
Bayes | −4.9371 | −6.3131 | |
Shibata | −4.9433 | −6.3209 | |
Hannan-Quinn | −4.9411 | −6.3181 | |
AVGARCH(1,1) | Akaike | −4.9363 | −8.0452 |
Bayes | −4.9284 | −8.0358 | |
Shibata | −4.9363 | −8.0452 | |
Hannan-Quinn | −4.9335 | −8.0419 |